Fire doesnt render in internal render
Your issue here is that the volumetric material has to be applied to the domain object, not the source of the fire. Since you need to still see the glass for the lantern, you will need to duplicate the glass object and add a volumetric material to that. To control the density of the fire so that it looks like fire and the whole domain isn't just full, you will need to use a voxel data texture. 

If you add a new object and go to the Object menu at the bottom left, then Quick Effects >Quick Smoke you can get an idea of how the material should be set up.